Tagged Questions

I have another question about interest rates. In this case it is about swaption and how to come up with a pricing formula. For the rest of my question I use the notation from Brigo. The payoff of a ...

I'm given cap prices and swap rates, and i'm trying to calibrate the Hull-White model to them. I then want to use the model in order to price a swaption.
I know that the model can be calibrated from ...

I have implemented the LIBOR market model (LMM) and I am quite satisfied with the results. I have now added a skew to the model as described in 10.1 of Brigo/Mercurio. That is, I have replaced the SDE
...

I was working on the pricing of complex bermudean swaption when I noticed that the exercise is often (very) subobptimal. It seems that the clients are more sensitive to past growth or drop in rates ...

So I am still trying to price an american swaption. (MC approach here: American Swaption Pricing with Monte-Carlo method)
I've found in Paul Wilmott, The mathematics of financial derivatives, a PDE ...

Let an implied volatility curve/surface is made up by optionlets or swaptions Black's implied volatility.
If you wanted to price, say, a FRN with cap and/or floor, a CMS et cetera you would input the ...

If I use interpolation technique such as cubic spline to estimate volatility of Swaption with different strike,(with a given forward rate, swap and option maturity) will this be arbitrage free? What ...